Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0119 |
| Annualized Std Dev | 0.0624 |
| Annualized Sharpe (Rf=0%) | 0.1904 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4350.0000 |
| NAs | 1.0000 |
| Minimum | -0.0295 |
| Quartile 1 | -0.0020 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0022 |
| Maximum | 0.0445 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0039 |
| Skewness | 0.1610 |
| Kurtosis | 11.1312 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0028 |
| Gain Deviation | 0.0028 |
| Loss Deviation | 0.0029 |
| Downside Deviation (MAR=210%) | 0.0091 |
| Downside Deviation (Rf=0%) | 0.0028 |
| Downside Deviation (0%) | 0.0028 |
| Maximum Drawdown | 0.1864 |
| Historical VaR (95%) | -0.0059 |
| Historical ES (95%) | -0.0090 |
| Modified VaR (95%) | -0.0053 |
| Modified ES (95%) | -0.0053 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-03-11 | 2008-11-24 | 2010-10-08 | -0.1864 | 652 | 181 | 471 |
| 2012-12-11 | 2018-11-02 | 2020-07-02 | -0.1218 | 1903 | 1486 | 417 |
| 2005-06-02 | 2007-06-12 | 2007-11-26 | -0.0965 | 626 | 510 | 116 |
| 2004-03-18 | 2004-05-10 | 2005-06-01 | -0.0726 | 304 | 37 | 267 |
| 2010-10-15 | 2011-02-10 | 2011-07-19 | -0.0651 | 191 | 82 | 109 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 |
| 2004 | 0.5 | 0.6 | -0.5 | 0.4 | -0.6 | 0.1 | 0.6 | -0.4 | -0.5 | -0.5 | -0.4 | -0.4 | -1.2 |
| 2005 | -0.3 | 0 | -0.2 | -0.3 | 0.4 | -1.3 | -0.8 | -0.1 | -0.2 | -0.4 | -1.4 | 0 | -4.5 |
| 2006 | -0.3 | -0.2 | 0 | -0.8 | -0.5 | 0.5 | -0.4 | -0.6 | 0 | -0.2 | 0.3 | 0.1 | -2.1 |
| 2007 | -0.3 | -0.1 | 0 | -0.4 | -0.8 | 0.6 | -0.9 | 0 | -0.2 | 0.6 | -0.1 | 0.7 | -1 |
| 2008 | -0.5 | 1.1 | -1.4 | -0.5 | 0.4 | -0.6 | -0.5 | -0.3 | 0.5 | -0.5 | 2 | 0.3 | -0.1 |
| 2009 | 0.5 | -0.6 | -0.1 | -1.6 | -1.2 | -0.6 | 0.5 | -0.8 | 0.2 | 0.4 | -0.4 | -0.1 | -3.6 |
| 2010 | -0.2 | 0 | -0.4 | 0.3 | -0.7 | -0.8 | 0.4 | -0.5 | 0.1 | -0.1 | -0.8 | 0.7 | -2 |
| 2011 | -0.2 | 0.3 | -0.3 | 0.2 | -0.2 | -0.6 | -0.2 | 0.9 | -0.2 | 0.9 | -0.2 | 0 | 0.3 |
| 2012 | -0.1 | -0.2 | -0.3 | -0.3 | -0.2 | -0.2 | 0 | 0.5 | 0.2 | -0.4 | 0.2 | -0.6 | -1.5 |
| 2013 | -0.5 | 0.4 | 0 | -0.3 | 0.1 | 0 | -0.8 | -0.3 | -0.2 | -0.8 | -0.1 | -0.1 | -2.5 |
| 2014 | 0.2 | 0.1 | -0.3 | 0.1 | -0.2 | -0.7 | 0.1 | -0.1 | 0.7 | 0.1 | -0.3 | 0.3 | -0.1 |
| 2015 | 0.7 | 0.6 | 0.8 | -0.4 | -0.6 | -0.4 | 0.4 | -0.5 | 0.3 | 0.3 | 0.4 | 0.2 | 1.8 |
| 2016 | -0.2 | -0.3 | 0.1 | 0 | -0.2 | 0.3 | -1 | -0.3 | 0 | 0 | -0.5 | 0.3 | -1.7 |
| 2017 | -0.2 | -0.6 | 0.3 | -0.6 | -0.3 | -0.1 | -0.1 | -0.4 | -0.2 | -0.1 | -0.1 | 0.3 | -2.1 |
| 2018 | -0.5 | 0.3 | 0.2 | -0.7 | -0.4 | 0 | -0.7 | -0.1 | -0.4 | -0.2 | 0 | 0.1 | -2.4 |
| 2019 | -0.4 | -0.2 | -0.4 | -0.2 | 0.6 | -0.7 | 0.1 | -0.4 | 0 | 0.1 | -0.2 | -0.1 | -1.7 |
| 2020 | 0.4 | 0.2 | 0.5 | -0.2 | 0.1 | 0.1 | 0.3 | 0.1 | -0.3 | -0.3 | -0.3 | 0.2 | 0.6 |
| 2021 | -0.2 | -0.3 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
